Asymptotic ruin probabilities for a bidimensional risk model with heavy-tailed claims and non-stationary arrivals

Abstract

This article studies a bidimensional risk model, in which an insurer simultaneously confronts two kinds of claims sharing a common non-stationary arrival process. Assuming that the arrival process satisfies a large deviation principle and the claim-size distributions are heavy tailed, an asymptotic formula for the corresponding ruin probability of this bidimensional risk model is obtained.

Keywords:

• Bidimensional risk model
• consistent variation
• Hawkes process
• non-stationary arrival process
• ruin probability

AMS Mathematics Subject Classification:

• Primary 62P05
• Secondary 62E20
• 60F10

Additional information

Funding

Project supported by Humanities and Social Sciences Foundation of the Ministry of Education of China (No. 17YJC910002), Zhejiang Provincial Natural Science Foundation of China (No. Y17A010004) and First Class Discipline of Zhejiang-A (Zhejiang Gongshang University-Statistics).